scholarly journals Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions

2015 ◽  
Vol 41 ◽  
pp. 101-106
Author(s):  
Nicholas Apergis ◽  
Dimitrios Voliotis
Keyword(s):  
Stock Markets ◽  
Stock Exchange ◽  
Spillover Effects ◽  
London Stock Exchange ◽  
Exchange Transactions

scholarly journals Spillover effects in the financial year cycle for Indian markets

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Parul Bhatia
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Spillover Effects ◽  
Ordinary Least Squares ◽  
Leverage Effect ◽  
Conditional Heteroskedasticity ◽  
Content Type ◽  
Year Effect ◽  
Autoregressive Conditional Heteroskedasticity

PurposeThe stock market anomalies have been studied across the globe with intermingled results for individual markets. The present study has investigated the financial year effect for Indian stock markets by testing month-of-the-year-effect anomalies.Design/methodology/approachThe oldest stock exchange's index returns (Bombay Stock Exchange [BSE]) have been tested using ordinary least squares (OLS) and autoregressive conditional heteroskedasticity in mean (ARCH-M) models with Student's t and Student's t-fixed distributions for the period between 1991 and 2019. The Glosten, Jagannathan and Runkle-generalised autoregressive conditional heteroskedasticity (GJR-GARCH) model has been further used to find out existence of the leverage effect in returns.FindingsThe findings indicated no evidence for anomalies in the Indian stock market which may be used by investors for making unusual returns. However, the volatility in returns has shown weak but significant results due to the financial year impact. The leverage effect has not been found in the financial year cycle change over. The Indian market may be said to be moving towards a state of efficiency, leaving no scope for investors to gauge bizarre profits.Research limitations/implicationsThe study has incorporated the Indian context for testing anomalies during the start and end of the financial year cycle. The model may be extended further to developed and developing nations’ markets for testing efficiency in their stock markets during the same cycle.Originality/valueThe paper may be the first of its kind to test for the financial year effect on standalone basis for Indian markets. The paper also adds to the existing literature on testing events’ effect.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

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